Marco,
do you know how to install previous version of cygwin? Is there any way
how to do it?

As Marco mentioned, setup.exe is a user-space program, not a kernel one.
Therefore, it is not possible for it to be crashing your system. If you
are experiencing a blue-screen or any kind of O/S crash, this can only
be initiated by kernel-level code. Beyond the obvious O/S code itself,
things like hardware drivers and some virus and malware detectors fall
into this category. Your best bet is to look at any recent O/S, driver,
virus, and malware updates or additions that could be responsible.
Looking for a Cygwin-specific solution is at best a time-sink.

--
Larry

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A: Yes.
> Q: Are you sure?
>> A: Because it reverses the logical flow of conversation.
>>> Q: Why is top posting annoying in email?